ICE Interest Rates Report
September 2024
Gain the latest trends and insights with our monthly newsletter on ICE's Rates market.
Interest Rate Derivatives
The largest marketplace for U.K. and European interest rates futures and options including Euribor, SONIA, Gilts and SARON futures
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Euribor Futures and Options
SONIA Futures and Options
SARON Futures
Long Gilt Futures
ESTR Futures and Options
Interest rates contract performance
| Product Code | Ticker | Sep 24 ADV | YTD ADV | Open Interest | |
|---|---|---|---|---|---|
| Euro Rates | |||||
| Euribor Futures | I | ER | 1,726,135 | 1,404,947 | 4,168,912 |
| Euribor Options | I, K, K2, K3, K4, K5 | ER | 503,578 | 348,080 | 10,652,332 |
| 3M ESTR Futures | ER3 | TKY | 125,216 | 63,053 | 550,193 |
| UK Rates | |||||
| SONIA Futures | SO3 | SFI | 662,146 | 559,715 | 2,200,401 |
| SONIA Options | SO3, SY1, SY2, SY3, SY4 | SFI | 118,349 | 131,319 | 3,566,484 |
| Long Gilt Futures | R | G | 261,850 | 285,767 | 845,133 |
| Long Gilt Options | R | G | 1,035 | 837 | 21,899 |
| Swiss Rates | |||||
| SARON Futures | SA3 | SSY | 41,616 | 33,409 | 223,428 |
| US Rates | |||||
| Rate Lock | 3OC | VAI | 2,582 | 1883 | 3,760 |
* Launched ESTR: Nov. 1, 2023, Gilt Options: Aug. 1, 2023
Product headline highlights
Euro Rates - Euribor and 3M €STR
- Euribor futures volume at 36.2 million contracts, the highest volume month so far this year - up 29% MoM, up 49% vs September 2023 and up 23% YTD vs 2023
- Euribor futures open interest (OI) of 4.1 million contracts, up 2% MoM and up 14% YTD vs 2023
- Euribor options traded 10.5 million contracts, the highest volume month since June 2013, up 54% MoM, up 49% vs September 2023 and up 41% YTD vs 2023
- Euribor options average daily volume (ADV) at 503k, up 62% MoM and up 40% YTD vs 2023
- Euribor options OI of 10.6 million contracts down 5% MoM and up 1% YTD vs 2023
- 3M €STR futures traded 2.6 million contracts, up 54% MoM - a total of 12.1 million contracts YTD
- 3M €STR futures ADV at 125k contracts, up 61% MoM and vs 63k YTD
- 3M €STR futures OI hit another record high of 550k, up 22% MoM
U.K. Rates - SONIA and Gilts
- SONIA futures volume at 13.9 million contracts, up 13% MoM and up 46% YTD vs 2023
- SONIA futures OI of 2.2 million contracts, down 7% MoM, up 45% YTD vs 2023
- SONIA options volumes traded 2.4 million contracts, down 12% MoM, up 97% YTD vs 2023
- SONIA options ADV at 118k, down 12% MoM, down 15% vs September 2023, up 100% YTD vs 2023
- SONIA options OI of 3.5 million contracts down 15% MoM, up 173% YTD vs 2023
- Long Gilt futures ADV at 261.8k, down 29% MoM, up 33% vs September 2023 and up 32% YTD vs 2023
- Long Gilt futures OI of 845k, up 7% MoM, up 73% vs September and up 49% YTD vs 2023
- Long Gilt options volumes traded 21.7k contracts, up 8% MoM, a total of 158.8k contracts YTD
Swiss Rates - SARON
- SARON futures volume at 873k, up 52% Mom, up 47% YTD vs 2023
- SARON futures ADV at 41.6k, up 52% MoM, up 31% vs September 2023 and up 49% YTD vs 2023
- SARON futures OI of 223k, down 22% MoM, up 17% YTD vs 2023
U.S. Rates - Mortgage Rate Lock Index Futures
- Mortgage Rate Lock index futures volume at 51.6k contracts, up 3% MoM, up 118% YTD vs 2023
- Mortgage Rate Lock index futures ADV at 2.5k, up 13% MoM and up 120% YTD vs 2023
- Mortgage Rate Lock index futures record OI of 3760 lots, up 52% MoM, up 235% YTD vs 2023
Insights
The Euribor benchmark: deep liquidity amid a shifting rate backdrop
When macro-economic events shake global markets, investors need a quick and reliable way to hedge risk. Learn why Euribor endures as an interest rate benchmark.
Managing interest rate risk with inter-contract spreads
As Europe grapples with an uncertain backdrop for growth and inflation, interest rate risk is a source of volatility which many market participants must manage. In this environment, access to reliable liquidity and sophisticated hedging tools offers execution certainty, margin offsets, and the ability to apply inter-contract spread strategies.